Stabilność parametrów modelu rynkowego szacowanego w oparciu o stopy zwrotu wig
Stability of market model parameters estimated using daily returns of warsaw stock exchange index

Summary/Abstract: The aim of this paper is describing problems one can face using the CAR method, when the market direction change occurs between the estimation window and the event window. Such situation can cause the market model is inappriopriate to market conditions in the event window. Consequently calculated cumulative abnormal return becomes useless as a measure of market reaction to the event.

• Details
• Contents